Why is the word 'Lord' in all caps in the OT but not in the NT?

You are referring to the "Tetragrammaton", which is the Proper Name of the Hebrew God, literally in Hebrew Holy Scripture as...

יהוה

which transliterates to "YHWH".

1> Why "Lord" is never in ALL CAPS within the NEW TESTAMENT: The Tetragrammaton occurs only in the Hebrew Holy Scripture sources everywhere "LORD" (and sometimes GOD) are written in ALL CAPS within our Bibles. However, The Greek Septuagint was the Holy Scripture used by the Apostle Paul, and he quoted from it. It had translated "YHWH" into the Greek word κύριος [kýrios or kurios in Latin letters] meaning master or lord. Therefore, Paul never used the Hebrew יהוה since he was not quoting the Tetragrammaton from a Hebrew source. Therefore the New Testament does not quote "LORD" from Paul's "Holy Scriptures". It quotes it the way Paul wrote it, which was the Greek word 'κύριος' not the other Hebrew word. Paul may have never even been aware of the Tetragrammaton. So remember, Paul's quotes from his Holy Scriptures were his quotes, not our Bible Translators looking back into our Holy Scriptures and them quoting it "correctly" for Paul. It quotes those scriptures just the way Paul did, except translated into English. To reiterate, the Tetragrammaton was not present in the Greek Septuagint that Paul quoted from.

2> Why "LORD" is in ALL CAPS in the Old Testament: So, the Septuagint had lost the proper name written in Hebrew Scriptures, the Tetragrammaton, and replaced it with a Greek title, "κύριος", or Lord. And then the Roman Empire became Christianized, and a New Greek Testament about Jesus Christ had been canonized. The first complete Bible Codexes that had been canonized were Greek, but later the Romans translated the Greek Septuagint from Greek into Latin, plus they translated the newer Greek New Testament in use with the Greek Bible Codexes, and compiled the "Vulgate". The Greek word "κύριος" was translated to word "Dominus" in Latin, meaning Lord. After that, the first English Bibles were translations of the Latin Vulgate, and they translated "Dominus", rather than the Hebrew יהוה and the Latin word "Dominus" translates to lorde [sic] in old English. And finally, Hundreds of years later in 1611, The King James Version was the first translation to use "LORD", spelled in ALL CAPS as we do today in modern English. The translators had reviewed the Hebrew Holy Scriptures and acknowledged the Tetragrammaton within it, observed in Hebrew sources, but to use the traditions set of using the word Lord. [though Tyndale had earlier translated it as "LORde" [sic] setting that as a standard for the future, to add CAPS. Today, most English Translations follow that standard, but not all.

Here's is a more detailed explanation of how that happened, to reiterate, plus some exceptions to those rules...

"LORD" (all Caps) in the Old Testament refers to the English translation of Hebrew Scripture, which we transliterate as "YHWH" within the Latin alphabet. That method of translation is found within various popular English Translations of the Bible. You can refer to an older English Translation, the American Standard Version, to see it translated differently, as "Jehovah". "Jehovah" was the first popular English Translation used by adding vowels for annunciation and pronunciation. Other English Translations, such as the New Jerusalem Bible, use "Yahweh", which many claim to be a more accurate pronunciation of "YHWH".

The English Translations which use "LORD" (all caps) include the King James Version, Revised Standard Version, New International Version, and many others. However, in several places within the Old Testament, the above translations do use "Jehovah", typically where "Jehovah" would be within a sentence without the word "God". However, in most other cases they use "LORD" where "God" is in the same sentence. This avoids monotheistic confusion with the polytheistic heritage of the Hebrew God, for example, eliminating a hypothetical reading of "The Jehovah God almighty" or "the Lord God Jehovah" (while imagining the "Lord" (lowercase) being alternately translated as "the Master God Jehovah". So, monotheistic translation of the Old Testament encourages the use of "LORD" for "YHWH".

HOWEVER, it is not usually the publicly stated rational for using "LORD". Bible Translations usually reference the Septuagint, which was the early Greek Jewish Holy Scripture. In the Septuagint, the Proper Name of the Hebrew God is never used. Rather, it uses the Greek word "Kyrios" or a derivative of that, which translates as Lord or Master. For Example, the Revised Standard Version mentions in its notes on the Tetragrammaton, that the Septuagint starts the tradition of not using the Hebrew Gods proper name.

According to tradition at the time of Christ, and later in early Christianity, it was considered taking the name of the Jehovah in vain to mention his actual name... unless it was earnestly necessary. The translation also mentions that the translation is "primarily" based on earliest original Hebrew Texts available, which use the Personal Name frequently. However, the "LORD" translation of the Tetragrammaton closely follows the absence of any proper name for God within the Greek Septuagint, which uses the Greek word κύριος instead, which transliterates to kýrios or kurios, meaning Lord or Master.

"LORD" is capitalized, ALL CAPS, as a compromise so that theologians with education, or curious lay people, may know that the original Hebrew Source that they used for translation, actually used "YHWH" and not "Lord" or "LORD". However, the Greek Septuagint did use "Kyrios" and derivatives, which translate as "Lord" or "Master".

The Septuagint was an important translation of the "Hebrew Bible" starting several centuries before the era of Jesus Christ. It was a Greek translation. Greek was considered the International Language of the Roman Empire, because they reconquered areas that Alexander The Great had once conquered, and who had spread the Greek Language and Culture. The Apostle Paul spoke and wrote Greek. The New Testament was written in Greek. More people within the Roman Empire spoke Greek than Latin, or at least more people wrote in Greek, during the era of Jesus Christ.

Many Jews during the era of Jesus Christ also spoke Greek, because the Babylonians had once conquered Israel and Judah, and spread Jewish people throughout their lands as captives. Later those lands were conquered by Alexander The Great, and they became Greek Speaking. Then they were conquered by the Roman Empire, and they remained Greek Speaking. Those conquered areas also had "native" tongues, which the Romans called "Vulgar" meaning "common" in Latin. Aramaic was the "Vulgar" tongue of the "Vulgaris" (common people) in the land of Judea, when it was under the Roman Empire during the era of Jesus Christ. There was also a "Vulgar Latin" which the common folk spoke, and a "Classical Latin" which was used for writings of Law. When the Roman Empire became officially Christian in the 4th Century AD, the Septuagint was mostly translated into the Vulgate (religious law for the common people). It too continued the tradition of not using the Proper Name of the Hebrew God, also using the Latin word "Dominus" meaning Lord. The very first English Bible editions were translations of the Vulgate, and those helped establish the tradition of using "Lord" for the Tetragrammaton, "YHWH".

THE NEW TESTAMENT, however, does not use "LORD" (all caps) whenever Paul quotes from Holy Scripture. The Bible reader might flip back in his/her Bible to find the quote in the Old Testament to check Paul's accuracy, and then sees that the Old Testament uses the verbatim word "LORD" [ALL CAPS] instead of "Lord" [with lowercase]. That seems to be a clear conflict to a sharp eyed Bible reader. But, it's important to know that the Tetragrammaton was not in the reference edition of the Holy Scripture that Paul used, and therefore the Tetragrammaton was NOT in Paul's quotation. Therefore the Bible does not correct Paul's supposed error of not acknowledging the Tetragrammation.

BUT WHY? Paul's Holy Scripture was the Greek Septuagint, NOT the Hebrew Scripture which included the Tetragrammaton. Therefore he doesn't quote the Tetragrammaton which isn't in his Holy Scripture.

The New Testament was written in Greek. And to reiterate: for Paul, the Holy Scripture was the Septuagint which made zero reference to the Proper Name of the Hebrew God "YHWH". The Greek Septuagint uses "Kyrios" which translates as "Lord" or "Master". So therefore, Paul would quoted "Kyrios" referring to the Lord God. [remembering that "LORD" (all caps) is a Translation Reference meaning that the translation source used the Proper Name of the Hebrew God, commonly spoken as Jehovah or Yahweh in English today].

HOWEVER, the "New King James Version" is an exception. It corrects Paul's lack of reference to what we see today (in our Bible) as the Tetragrammaton within the original Old Testament Source, for example, Paul quotes the Holy Scripture as saying, in Romans Chapter 11 verse 34...

“For who has known the mind of the LORD? Or who has become His counselor?” [NKJV]

Also it's done in other areas with the NKJV, for example, Romans Chapter 16 Verse 16 we see "LORD" [ALL CAPS] as well as Romans 9:29, Romans 4:8, Romans 14:11, Romans 15:11, and not just in Romans, but perhaps consistently through all other quotations of Holy Scripture by Paul, for example in 1 Corinthians 1:31 and 2:13 and I haven't counted how many other places.

Yet even in the Greek Septuagint, the Proper Name of the Hebrew God is never used. Some consider that to be an error in the New King James Version misquoting Paul, who in turn had not quoted a Hebrew Scripture. So it falsely implies that Paul referred to the Tetragrammaton, when in fact he did not.

It's with scholarly certainty that Paul quotes Holy Scripture from the Greek Septuagint, because he writes verbatim Greek, directly from it, when quoting. On the other hand, had he quoted from a Hebrew Holy Scripture, he would have translated the Hebrew into Greek, and it would have translated out differently than the Greek Septuagint translation, in all probability.

Best bet is to read the introductory notes in your particular Bible. The translators will usually put info in those notes about special features used in the English texts to denote certain things in the original language. For example, my NASB has this note under Principles of Translation, The Proper Name of God in the Old Testament:

One of the titles for God is Lord, a translation of Adonai. There is yet another name which is particularly assigned to God as His special or proper name, that is, the four letters YHWH...it has been consistently translated LORD.

The Hebrew letters roughly corresponding to YHWH are the name of the Jewish god. Literally, this is their god's name, just like my name is Kyralessa and your name is Rachel.

However, in order to avoid using God's name in vain, the Jews did not pronounce this name. Instead, they substituted the Hebrew word adonai, which means "lord".

In the actual Hebrew text of the Old Testament, the consonants YHWH for the name of God are pointed with the vowels for the word adonai. (You can see what Hebrew vowels look like here: Hebrew Nikkudot) This means that whenever you're reading aloud, and you come to the name of God, you instead read the word adonai.

This isn't the only case of this kind of substitution, though it's by far the most common. You can find more qere/ketiv cases here: Qere and Ketiv

Reading the vowels of adonai with the consonants YHWH gives one "Yehovah", or "Jehovah". This isn't the name of God, however. Despite its historical popularity, it's simply a nonsensical mixture of two different words. We don't know what vowels the word YHWH originally had.

Writing the word LORD in the Old Testament is a way of indicating that in that place, the name of God (YHWH) is present in the original Hebrew. adonai translates as "Lord", so this is a way in English of simulating the Hebrew practice of saying "Lord" in place of God's name.

There are a few cases in Hebrew where adonai YHWH occurs. To avoid the awkwardness of "Lord LORD" in the text, Bibles generally render this as "Lord GOD" instead.

Incidentally, the capital letters in English don't have any connection with capital letters in Hebrew, because Hebrew doesn't have capital and lower-case letters.

Now, what about the New Testament? The New Testament doesn't contain the name of God anywhere. The word "Lord" in the New Testament is κύριος kyrios, and the word "God" is θεός theos. It's quite possible that in some cases of the New Testament, kyrios is meant to stand in for the name of God (with the adonai substition). But since it's technically not the name of God, the "Lord"-in-small-caps convention isn't used in the New Testament.

An analogy

People are so used to hearing "Jehovah" that it may be difficult to comprehend that it's a nonsensical word.

Suppose for a moment that my (nick)name, Kyralessa, was the name of a deity. If we render it in English but take out the vowels, we'd end up with KRLS. Now suppose that a pious people decides, out of reverence, to use the phrase "He who is" in place of this name: Wherever their holy writings say "KRLS", you should instead read "He who is".

To indicate this, they add the vowels from the phrase "he who is", that is, "e o i", to the consonants KRLS, to indicate the "he who is" substitution.

Now centuries later, along comes an eager but not-so-bright individual who wants to study this holy writ. He knows the consonants, and he knows the vowels, and when he puts them together, he gets this: KeRoLiS.

Aha! he says. The name of their god was "Kerolis"! And so he announces it and spreads the word, and soon books and hymns are written extoling the name of the great god Kerolis.

But of course the name "Kerolis" doesn't exist. It's a jumble of two separate words.

This is exactly the way the made-up name "Jehovah" came about.

A convention in many Bibles is to do exactly as you say - convert the Tetragrammaton (YHWH) into LORD. To be sure, you should look at your Bible's preface. In the New Testament, which was composed in Greek, the word Kurios (e.g. Kyrie Elesion) is a title as opposed to a Proper Name.

To be clear: יהוה (Yahweh) = LORD - specific name, אֲדֹנָי (Adonai) = Lord - title, κύριος = Lord - title

Interestingly, the Jews took the notion of protection against blasphemy so far, that they would not pronounce the YHWH. Instead, during readings, they would substitute the proper name of God for Adonai, which translates to "my Lord". When the Masoretes attempted to add the vowels between the 7th and 11th Centuries AD, they did not know the correct vowels to use, because the tradition of Adonai was so long entrenched. As a result, they adopted the vowels of Adonai and added them to the Y-H-W-H to get Yah voh (Yahweh), or as the English wanted to pronounce it: Jeh-hov-ah.